| Title: | Fetch and plot financial stress index and component data. |
|---|---|
| Description: | Forms queries to submit to the Cleveland Federal Reserve Bank web site's financial stress index data site. Provides query functions for both the composite stress index and the components data. By default the download includes daily time series data starting September 25, 1991. The functions return a class of either type easing or cfsi which contain a list of items related to the query and its graphical presentation. The list includes the time series data as an xts object. The package provides four lattice time series plots to render the time series data in a manner similar to the bank's own presentation. |
| Authors: | Matt Barry <[email protected]> |
| Maintainer: | Matt Barry <[email protected]> |
| License: | MIT + file LICENSE |
| Version: | 1.0.0 |
| Built: | 2025-02-13 04:12:25 UTC |
| Source: | https://github.com/mrbcuda/stressr |
Downloads FRB financial stress index component data.
getComponentSummary(s = NULL)getComponentSummary(s = NULL)
s |
the list of class |
Downloads the Cleveland FRB data products for financial stress index components daily time series. Component values include
foreign exchange markets
credit markets
interbank markets
equity markets
real estate market
securitization market
A list of class stress
getStressData getEquityMarkets getFundingMarkets getCreditMarkets getForeignExchangeMarkets getRealEstateMarkets getSecuritizationMarkets
## Not run: getEquityMarkets() ## End(Not run)## Not run: getEquityMarkets() ## End(Not run)
Downloads FRB financial stress index component data.
getCreditMarkets(s = NULL)getCreditMarkets(s = NULL)
s |
the list of class |
Downloads the Cleveland FRB data products for financial stress index components daily time series. Component values include
liquidity spread
covered interest spread
commercial paper - t-bill spread
treasury yield curve spread
coporate bond spread
A list of class stress
getStressData getEquityMarkets getFundingMarkets getForeignExchangeMarkets getRealEstateMarkets getSecuritizationMarkets
## Not run: getCreditMarkets() ## End(Not run)## Not run: getCreditMarkets() ## End(Not run)
Downloads FRB financial stress index component data.
getEquityMarkets(s = NULL)getEquityMarkets(s = NULL)
s |
the list of class |
Downloads the Cleveland FRB data products for financial stress index components daily time series. Component values include
stock market crashes
A list of class stress
getStressData getEquityMarkets getFundingMarkets getCreditMarkets getForeignExchangeMarkets getRealEstateMarkets getSecuritizationMarkets
## Not run: getEquityMarkets() ## End(Not run)## Not run: getEquityMarkets() ## End(Not run)
Downloads FRB financial stress index component data.
getForeignExchangeMarkets(s = NULL)getForeignExchangeMarkets(s = NULL)
s |
the list of class |
Downloads the Cleveland FRB data products for financial stress index components daily time series. Component values include
weighted dollar crashes
A list of class stress
getStressData getEquityMarkets getCreditMarkets getFundingMarkets getRealEstateMarkets getSecuritizationMarkets
## Not run: getForeignExchangeMarkets() ## End(Not run)## Not run: getForeignExchangeMarkets() ## End(Not run)
Downloads FRB financial stress index component data.
getFundingMarkets(s = NULL)getFundingMarkets(s = NULL)
s |
the list of class |
Downloads the Cleveland FRB data products for financial stress index components daily time series. Component values include
financial beta
interbank cost of borrowing
bank bond spread
interbank liquidity spread
A list of class stress
getStressData getEquityMarkets getCreditMarkets getForeignExchangeMarkets getRealEstateMarkets getSecuritizationMarkets
## Not run: getFundingMarkets() ## End(Not run)## Not run: getFundingMarkets() ## End(Not run)
Downloads FRB financial stress index component data.
getRealEstateMarkets(s = NULL)getRealEstateMarkets(s = NULL)
s |
the list of class |
Downloads the Cleveland FRB data products for financial stress index components daily time series. Component values include
commecial real estate spread
residential real estate spread
A list of class stress
getStressData getEquityMarkets getCreditMarkets getFundingMarkets getForeignExchangeMarkets getSecuritizationMarkets
## Not run: getRealEstateMarkets() ## End(Not run)## Not run: getRealEstateMarkets() ## End(Not run)
Downloads FRB financial stress index component data.
getSecuritizationMarkets(s = NULL)getSecuritizationMarkets(s = NULL)
s |
the list of class |
Downloads the Cleveland FRB data products for financial stress index components daily time series. Component values include
residential MBS spread
commercial MBS spread
asset-backed security spread
A list of class stress
getStressData getEquityMarkets getCreditMarkets getFundingMarkets getForeignExchangeMarkets getRealEstateMarkets
## Not run: getSecuritizationMarkets() ## End(Not run)## Not run: getSecuritizationMarkets() ## End(Not run)
Downloads Cleveland FRB financial stress index data.
getStressComponents(verbose = FALSE)getStressComponents(verbose = FALSE)
verbose |
whether to print progress messages, default FALSE |
Transforms the HTML into a data frame, transforms the character date into Date objects, and then an xts object.
List of class type stress containing xts time history object df, plot colors array colors, default plot main title main, and default plot y-axis label ylab.
Meant for internal use by the other, more specific, query functions.
http://www.clevelandfed.org/research/data/financial_stress_index/index.cfm
getStressIndex
## Not run: getStressComponents() ## End(Not run)## Not run: getStressComponents() ## End(Not run)
Downloads Cleveland FRB financial stress index data.
getStressIndex(verbose = FALSE)getStressIndex(verbose = FALSE)
verbose |
whether to print progress messages, default FALSE |
Transforms the HTML into a data frame, transforms the character date into Date objects, and then an xts object.
List of class type cfsi containing xts time history object df, plot colors array colors, default plot main title main, and default plot y-axis label ylab.
http://www.clevelandfed.org/research/data/financial_stress_index/index.cfm
getStressComponents
## Not run: getStressIndex() ## End(Not run)## Not run: getStressIndex() ## End(Not run)
Provides a convenience function for passing a stress object to xyplot to render a sand (stacked area) chart.
stressAreaChart(e, range = NA)stressAreaChart(e, range = NA)
e |
an object of class |
range |
a range string as used by |
Provides several assumptions about the display of the stress data to correspond to similar presentations at the Cleveland Fed's data site. To implement the stacked area chart the function first computes the column-wise value accumulations, then passes these values to the latticeExtra xyarea polygon rendering tools. Plots the columns in reverse stacking order to show the desired overlaps.
xyplot.stress stressLineChart getStressComponents getComponentSummary getEquityMarkets getFundingMarkets getCreditMarkets getForeignExchangeMarkets getRealEstateMarkets getSecuritizationMarkets
## Not run: es <- getEquityStress() stressAreaChart(es) ## End(Not run)## Not run: es <- getEquityStress() stressAreaChart(es) ## End(Not run)
Provides a convenience function for passing a cfsi object to xyplot with attributes as presented by the source.
stressIndexChart(e, range = NA, showGradeRegions = TRUE)stressIndexChart(e, range = NA, showGradeRegions = TRUE)
e |
an object of class |
range |
a range string as used by |
showGradeRegions |
whether to show the stress grade regions and labels |
Provides several assumptions about the display of the cfsi data to correspond to similar presentations at the Cleveland Fed's data site.
xyplot.cfsi getStressIndex
## Not run: idx <- getStressIndex() stressIndexChart(idx) ## End(Not run)## Not run: idx <- getStressIndex() stressIndexChart(idx) ## End(Not run)
Provides a convenience function for passing a stress object to xyplot.
stressLineChart(e, range = NA)stressLineChart(e, range = NA)
e |
an object of class |
range |
a range string as used by |
Provides several assumptions about the display of the stress data to correspond to similar presentations at the Cleveland Fed's data site.
xyplot.stress stressAreaChart getStressComponents getComponentSummary getEquityMarkets getFundingMarkets getCreditMarkets getForeignExchangeMarkets getRealEstateMarkets getSecuritizationMarkets
## Not run: es <- getEqityStress() stressLineChart(es,"2007/2009) ## End(Not run)## Not run: es <- getEqityStress() stressLineChart(es,"2007/2009) ## End(Not run)
Fetches financial stress index component data as time series and provides plots.
Downloads the financial stress index component daily data in its original XLS format from the Federal Reserve Bank of Cleveland's web site, and then translates that data into an xts time series object with stress component value histories as columns. Provides custom lattice line and area plot functions for data presentation.
Matt Barry [email protected]
Federal Reserve Bank of Cleveland research data site http://www.clevelandfed.org/research/data/financial_stress_index/index.cfm
Provides a convenience function for passing an cfsi object to xyplot.
## S3 method for class 'cfsi' xyplot(x, ...)## S3 method for class 'cfsi' xyplot(x, ...)
x |
an object of class |
... |
other parameters passed to |
stressLineChart stressAreaChart getStressIndex xyplot.stress
## Not run: ci = getStressIndex() xyplot(ci) ## End(Not run)## Not run: ci = getStressIndex() xyplot(ci) ## End(Not run)
Provides a convenience function for passing an stress object to xyplot.
## S3 method for class 'stress' xyplot(x, ...)## S3 method for class 'stress' xyplot(x, ...)
x |
an object of class |
... |
other parameters passed to |
stressLineChart stressAreaChart getStressComponents xyplot.cfsi
## Not run: require(lattice) fs <- getFundingStress() xyplot(fs) ## End(Not run)## Not run: require(lattice) fs <- getFundingStress() xyplot(fs) ## End(Not run)